The problem with such sparks is that create large noise spikes which can be destructive
to sensitive circuitry. Proper electrical switch gear is designed to bring the metal contacts
together quickly and thus limit the duration of a contact spark.
This is why you should switch off the switch, plug in the circuit, then switch on the switch
(if at all possible).
And the switch needs to be big enough to handle the current inrush, which as has been
mentioned depends a lot on the capacitance being charged. For big capacitors it can
be a good idea to have a two-phase switch-on, a first switch with a series power resistor
that limits the inrush current but allows the capacitor to charge most of the way, then
a main switch to provide a proper connection. Much less stress on everything!